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Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis AgEcon
Armah, Stephen E..
Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying risk premium in the cocoa futures market is re-investigated using LM ARCH tests and a Quadratic ARCH in Mean Error Correction Model. In contrast to available research the time series properties of the data are carefully accounted for by employing the most recent econometric techniques in testing for the presence of a risk premium. No evidence is found in support of a positive time-varying [or constant] risk premium in the cocoa futures market at conventional significance levels. The result suggests that cocoa producing...
Tipo: Conference Paper or Presentation Palavras-chave: Cocoa; Futures markets; Time-varying risk premium; Error-correction model; Agribusiness; Marketing; M.
Ano: 2008 URL: http://purl.umn.edu/6778
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